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Type of bind: Hardcover
Dewey Decimal Number: 332.6
EAN num: 9783540222132
ISBN number: 3540222138
Label: Springer
Manufacturer: Springer
Quantity: 1
Page Count: 532
Printing Date: January 11, 2008
Publishing house: Springer
Sale Popularity Level: 314732
Studio: Springer
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Editor's Notes and Comments:
Product Description:
This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments.
Multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, and very general Bayesian techniques. Evaluation methods such as stochastic dominance, expected utility, value at risk and coherent measures are thoroughly discussed in a unified setting and applied in a variety of contexts, including prospect theory, total return and benchmark allocation.
Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust optimization techniques.
All the statistical and mathematical tools, such as copulas, location-dispersion ellipsoids, matrix-variate distributions, cone programming, are introduced from the basics. Comprehension is supported by a large number of figures and examples, as well as real trading and asset management case studies.
At symmys.com the reader will find freely downloadable complementary materials: the Exercise Book; a set of thoroughly documented MATLAB® applications; and the Technical Appendices with all the proofs. More materials and complete reviews can also be found at symmys.com.
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Rated by buyers -
A great book if you have a strong mathematical background. But the question of asset allocation is bedevilled by mathematics which is too strong to support the weak data supplied by the markets in which we invest.
Unless this weak data is properly integrated into the asset allocation process, an area which Meucci spends too little time on, then the users of quantitative procedures will continue to be disappointed.
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